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by tijsvd
2011 days ago
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This is not unique, it's standard practice. Many exchanges send large UDP packets with the most valuable information at the front. Or the packet is structured such that you can make an informed bet based on size and first sub-message. Failing the checksum was sort of common as well, but exchanges don't like it. These days most tricks have to do with avoiding as much serialisation time as possible, e.g. by sending ahead part of the TCP payload and filling in with some innocent order if there was no opportunity. |
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From a letter from the CME to the CFTC dated July 24, 2020:
> On July 26, 2020, an enhancement to the Market Segment Gateway (“MSGW”) will be introduced to further safeguard the CME Globex electronic trading platform (“CME Globex”) infrastructure by introducing a delay of at least three microseconds if the MSGW receives a partial order message as a means of ensuring the stability of the platform. Certain participants intentionally submit partial order messages to reduce latency, and only complete the order message upon the happening of an event or trading signal. Implementation of the enhancement is expected to reduce the frequency of intentionally split order messages as the additional processing time will serve as a deterrent.
The letter is on the web, but it's a PDF; the Google search result has a redirect link to it, DuckDuckGo can't seem to find it, and Firefox on Android won't tell me the URL it downloads things from, so I'm afraid I can't link to it!
CME also made a more general change, where if they decide a participant is sending dodgy messages, they will reroute all their packets to a special gateway for "additional checks", but in practice, to impose a latency penalty. Can't find the documentation on that at all, though.